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st: negative variance after gb2fit


From   <S.Jenkins@lse.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: negative variance after gb2fit
Date   Wed, 4 Jul 2012 10:57:51 +0100

Many thanks to Michal Brzezinski for spotting this little bug. I'll send
a corrected version of -gb2fit- to Kit Baum to replace the existing one
on SSC

Stephen
------------------------------

Date: Tue, 3 Jul 2012 23:41:34 +0200
From: Michal Brzezinski <michalbrzez@gmail.com>
Subject: Re: st: negative variance after gb2fit

I think that there is a typo in gb2fit in calculating variance for the
fitted model.
Lines 236-239 of gb2fit are:
			eret scalar var = `b'*`b'*exp(lngamma(1+2/`a'))
///
					   *exp(lngamma(`q'-2/`a'))
///
					   /(
exp(lngamma(`p'))*exp(lngamma(`q')) ) 	///
				 	- (`e(mean)'*`e(mean)')

"1" in the first line should be replaced with "p", so that the correct
expression for variance is:

			eret scalar var =
`b'*`b'*exp(lngamma(`p'+2/`a')) 		///
					   *exp(lngamma(`q'-2/`a'))
///
					   /(
exp(lngamma(`p'))*exp(lngamma(`q')) ) 	///
				 	- (`e(mean)'*`e(mean)')

I hope that this helps with your problem.

Michal Brzezinski

-------------------------------------
Professor Stephen P. Jenkins <s.jenkins@lse.ac.uk>
Department of Social Policy 
London School of Economics and Political Science
Houghton Street, London WC2A 2AE, U.K.
Tel: +44 (0)20 7955 6527
Changing Fortunes: Income Mobility and Poverty Dynamics in Britain, OUP
2011, http://ukcatalogue.oup.com/product/9780199226436.do
Survival Analysis using Stata:
http://www.iser.essex.ac.uk/survival-analysis  
Downloadable papers and software: http://ideas.repec.org/e/pje7.html 


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